Cannot change homepage due to a home page protection

If you have SpyBot S&D installed, go to the "Immunize" section. 
Is "Lock IE Start Page Settings" ticked?
If so, uncheck it.

Similarly, AntiVir's AdWatch by Avira has the same effect, and will not let you change the homepage - nor will it let you alter the advanced settings in the property section.  You have first to disable the option "Block possible browser hijack attempts" in the option section of AdWatch.

A few of the other programs now doing this are:

Norton Internet security 2005 & 2006
Ad-aware's Ad-Watch
McAfee VirusScan and/or Antispyware
Norton AV 
Spyware Blaster
Spybot> Tools> IE Tweaks
Spybot- Teatimer
Windows Defender
Zone Alarm (free) 6.5
Reported to be fixed in later versions.

In the case of Zone Alarm 6.5 it actually has to be uninstalled. Make sure the Windows Firewall is turned on until you reinstall Zone Alarm